Obtaining Trading Capital

Discussion in 'Professional Trading' started by Cole, Apr 24, 2004.

  1. Cole


    I have developed six very robust short to medium term futures trading systems, but am encountering much resistance in the search for an investor.

    My systems have an excellent risk / reward ratio, and are based on original concepts. I have much research and testing that I can show a potential investor. I am excited about what I have developed, but sitting on the sidelines and not participating is very hard. My capital requirements are not extraordinary, and I am willing to make concessions for the right client. Take the time to contact me, I promise it will be worth your time, when you see the potential returns and drawdowns I am talking about.

    I am happy to respond to any questions on details etc..., so feel free to send me a private message.

  2. How about putting up a "hypothetical" equity curve chart and discussing which securities/futures you'll be trading and why is your system any different than others?

  3. Ebo


    Entice me somehow!
  4. prophet


    Some people come up with great systems that by design require more capital, data or CPU resources than the designer can afford.

    Capital is especially critical when it is necessary to (1) trade futures, (2) diversify between 10 or more systems and (3) keep leverage under control. These three requirements alone can push capital requirements to $50K and beyond. The point is to generate stable returns at minimal risk, not to trade more capital for the sake of making more money, although that is also nice.

    I was in that situation. I had to improve my systems until I could cherry-pick a small non-correlated set to trade one-lots on a $30K account, even though I now have ~50 designs available (on ES, NQ and 6E, most correlations under 0.50). If I had $1M I would run 100 systems over many other markets for much lower risk overall.
  5. Cole


    I will post some hypothetical equity curves and info on my systems in the next 24 hrs.

    My capital requirements are not chosen arbitrarily. After extensive portfolio testing, I know what markets must be traded to diversify properly. Risk of ruin is much higher with a poorly capitalized and poorly diversified system(s).

    Thanks for the responses and I post some 'enticing' info soon.

    Any more questions or info you would like to see?

  6. Cole


    Attached are some monthly equity numbers from a combination of three of my systems with stats. All markets are traded with the same parameters. No curve fitting!!

    Only high liquidity portfolios are utilized in this test.

    The numbers in this test get huge quickly, but keep in mind this is done to show the power of my systems. The markets in this test can handle size easily. Returns can be increased dramatically without increasing betsize, just by increasing margin to equity.

    Portfolio varies depending on system, but some markets tested are: JY, EU, CL, NG, NK, TY, S, SB, BP, HO, EBL, KW, HO, C, London metals, KC, RU, ES, SP, NQ

    Quick numbers: 256.0% CAGR
    2.34 Sharpe
    5 month longest DD
    6.75 Mar Ratio
    37.9% Max DD

    Please download file and ask any questions you may have. Looking forward to responses.

  7. prophet


    Sounds robust if all markets trade with the same parameters.

    I calculated your monthly Sharpe ratio as 0.68 which is excellent. Based on the smoothness of your equity curve on a yearly scale, a monthly or weekly Sharpe seems helpful to look at.


    1) Is this a combination of your three best systems? Is three an optimal number (maybe due to account size reqs), or would a larger combination drop the risk even further? If three is optimal, is there a problem with the other systems’ profitability or their inter-correlations? I’d love to see return and risk figures for all markets you feel are usable.

    2) What are the weekly correlation of returns between different systems? I'm not sure whether a daily or weekly correlation of returns would be more revealing here. I use primarily daily inter-system correlations.

    3) How many trades per month?

    4) Average position holding length?

    5) Do you use stop losses?

    6) What resolution of market data is this based on? Daily? Hourly? Minute?

    7) How many months have been walk-forward (papertraded hindsight free)? Is the walk-forward performance statistics consistent with historical? Considering the smoothness of your equity curve, it shouldn't take long to verify it.
  8. prophet


    8) Do your systems use constant size or variable size positions?
  9. Sanjuro


    Are you sure you don't have any bugs in your trading program using future data? What figures are you using for slippage?

    If that program is real, you should borrow money from family/relatives and just make yourself a billionaire.

    Good Luck!
  10. Ditch


    Contact Don Bright, a couple of weeks he mentioned on this board he's willing to provide funding in cases like this.
    #10     Apr 26, 2004